EconPapers    
Economics at your fingertips  
 

Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution

Graham Elliott ()

International Economic Review, 1999, vol. 40, issue 3, 767-83

Abstract: Researchers desire powerful tests for unit roots. This paper derives the family of asymptotically most powerful tests for unit roots when the initial condition is drawn from its unconditional distribution under the alternative. This enables both the examination of previously proposed statistics and the construction of powerful tests against this alternative model. Copyright 1999 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (112) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Efficient Tests for an Autoregressive Unit Root (1996) Downloads
Software Item: ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ier:iecrev:v:40:y:1999:i:3:p:767-83

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0020-6598

Access Statistics for this article

International Economic Review is currently edited by Harold L. Cole

More articles in International Economic Review from Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297. Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

 
Page updated 2019-08-20
Handle: RePEc:ier:iecrev:v:40:y:1999:i:3:p:767-83